In this Wireshark screenshot, there is a message type "Encrypted Data". Does anyone know what this is and in which situations this message type will be sent?
You should probably start with a general overview of how TLS works. We have a good introductory post here: How does SSL/TLS work?
To answer your question: every time a new TLS connection is opened, you will see something like this message exchange in Wireshark:
Key Exchange messages are to set up an encrypted channel that only the client and the server can read. They will not send any important data until the encrypted channel has been established, after which all communication between the two will look like the
Encrypted Data packet that you see. This is TLS working as intended.
As @TorstenS points out in their answer, Wireshark has the ability to decrypt TLS traffic, but you need to be in control of either the client or the server so that you can extract the session private keys and give them to Wireshark.
This kind of data will always be sent if there is an encrypted connection. And the reason it does not make any sense to you is exactly to prevent what you are trying to do here, i.e. eavesdropping on the data which is being exchanged.
In case you control both sides of the connection and / or the private key used for the TLS encryption, you will be able to decrypt the information using wireshark.